266
Views
1
CrossRef citations to date
0
Altmetric
Equity Investments

The Impact of Constraints on Minimum-Variance Portfolios

, &
Pages 52-70 | Published online: 27 Dec 2018

References

  • Aked, Michael, and Max Moroz. 2015. “The Market Impact of Passive Trading.” Journal of Trading, vol. 10, no. 3 (Summer): 1–8.
  • Allianz Global Investors Capital. 2012. “Specification of Constraints in Managed Volatility Strategies.” (September) .
  • Almgren, Robert, Chee Thum, Emmanuel Hauptmann, and Hong Li. 2005. “Equity Market Impact.” Risk (July)1: 57–62.
  • Behr, Patrick, André Güttler, and Felix Miebs. 2008. “Is Minimum-Variance Investing Really Worth the While? An Analysis with Robust Performance Inference.” Working paper (31 October): www.cfr-cologne.de/download/kolloquium/2009/behr_et_al.pdf.
  • Bengtsson, Cristoffer, and Jan Holst. 2002. “On Portfolio Selection: Improved Covariance Matrix Estimation for Swedish Asset Returns.” Working paper, Lund University and Lund Institute of Technology.
  • Blitz, David, Juan Pang, and Pim van Vliet. 2012. “The Volatility Effect in Emerging Markets.” Research paper, Robeco (March).
  • Bouchaud, Jean-Philippe, Marc Potters, and Jean-Pierre Aguilar. 1997. “Missing Information and Asset Allocation.” Capital Fund Management Science & Finance Working Paper 500045.
  • Briner, Beat G., and Gregory Connor. 2008. “How Much Structure Is Best? A Comparison of Market Model, Factor Model and Unstructured Equity Covariance Matrices.” Journal of Risk, vol. 10, no. 4 (Summer): 3–30.
  • Chan, Louis K.C., and Josef Lakonishok. 1993. “Institutional Trades and Intraday Stock Price Behavior.” Journal of Financial Economics, vol. 33, no. 2 (April): 173–199.
  • Chow, Tzee-Man, Jason C. Hsu, Li-Lan Kuo, and Feifei Li. 2014. “A Study of Low-Volatility Portfolio Construction Methods.” Journal of Portfolio Management, vol. 40, no. 4 (Summer): 89–105.
  • Clarke, Roger, Harindra de Silva, and Steven Thorley. 2006. “Minimum-Variance Portfolios in the U.S. Equity Market.” Journal of Portfolio Management, vol. 33, no. 1 (Fall): 10–24.
  • Clarke, Roger, Harindra de Silva, and Steven Thorley. 2011. “Minimum-Variance Portfolio Composition.” Journal of Portfolio Management, vol. 37, no. 2 (Winter): 31–45.
  • Clarke, Roger, Harindra de Silva, and Steven Thorley. 2013. “Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective.” Journal of Portfolio Management, vol. 39, no. 3 (Spring): 39–53.
  • De Carvalho, Raul Leote, Xiao Lu, and Pierre Moulin. 2012. “Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description.” Journal of Portfolio Management, vol. 38, no. 3 (Spring): 56–70.
  • Elton, Edwin J., and Martin J. Gruber. 1973. “Estimating the Dependence Structure of Share Prices—Implications for Portfolio Selection.” Journal of Finance, vol. 8, no. 5 (December): 1203–1232.
  • Fama, E.F., and K.R. French. 2012. “Size, Value, and Momentum in International Stock Returns.” Journal of Financial Economics, vol. 105, no. 3 (September): 457–472.
  • FTSE. 2014. “Ground Rules for the FTSE Global Minimum Variance Index Series.” Version 1.8 (November).
  • Frazzini, Andrea, and Lasse H. Pedersen. 2014. “Betting against Beta.” Journal of Financial Economics, vol. 111, no. 1 (January): 1–25.
  • Fujiwara, Yoshi, Watara Souma, Hideki Murasato, and Hiwon Yoon. 2006. “Application of PCA and Random Matrix Theory to Passive Fund Management .” Practical Fruits of Econophysics: Proceedings of the Third Nikkei Econophysics Symposium Edited by Hideki Takayasu. Tokyo: Springer.
  • Gatheral, Jim. 2008. “No-Dynamic-Arbitrage and Market Impact.” New York University Working Paper 2008-6.
  • Hsu, Jason, Vitali Kalesnik, and Feifei Li. 2012. “An Investor’s Guide to Smart Beta Strategies.” AAII Journal, no. December: 11–16.
  • Huberman, Gur, and Werner Stanzl. 2004. “Price Manipulation and Quasi-Arbitrage.” Econometrica, vol. 72, no. 4 (July): 1247–1276.
  • Jagannathan, Ravi, and Tongshu Ma. 2003. “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.” Journal of Finance, vol. 58, no. 4 (August): 1651–1684.
  • Keim, Donald B., and Ananth Madhavan. 1997. “Transaction Costs and Investment Style: An Inter-Exchange Analysis of Institutional Trades.” Journal of Financial Economics, vol. 46, no. 3 (December): 265–292.
  • Kempf, Alexander, and Christoph Memmel. 2003. “On the Estimation of the Global Minimum-Variance Portfolio.” Working paper (28 February). .
  • Kwan, Clarence C.Y.. 2010. “The Requirement of a Positive Definite Covariance Matrix of Security Returns for Mean–Variance Portfolio Analysis: A Pedagogic Illustration.” Spreadsheets in Education (eJSiE), vol. 4, no. 1 (Article 4): http://epublications.bond.edu.au/cgi/viewcontent.cgi?article=1078&context=ejsie. .
  • Ledoit, Olivier, and Michael Wolf. 2004. “Honey, I Shrunk the Sample Covariance Matrix.” Journal of Portfolio Management, vol. 30, no. 4 (Summer): 110–119.
  • Li, Feifei. 2013. “Making Sense of Low Volatility Investing.” Research Affiliates, Simply Stated (First Quarter): www.researchaffiliates.com/Our%20Ideas/Insights/Fundamentals/Pages/S_2013_Jan_Making-Sense-of-Low-Volatility-Investing.aspx. .
  • MSCI. 2013. “MSCI Global Minimum Volatility Indexes Methodology.” (December).
  • Roncalli, Thierry. 2011. “Understanding the Impact of Weights Constraints in Portfolio Theory.” Working paper (31 January).
  • Sharpe, William F.. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, vol. 19, no. 3 (September): 425–442.
  • Soe, Aye M.. 2012. “The Low-Volatility Effect: A Comprehensive Look.” Working paper, McGraw Hill Financial (August).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.